Related papers: Multi-outcome and Multidimensional Market Scoring …
We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
Companies like Google and Microsoft run billions of auctions every day to sell advertising opportunities. Any change to the rules of these auctions can have a tremendous effect on the revenue of the company and the welfare of the…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
We consider a discrete-time incomplete multi-asset market model with continuous price jumps. For a wide class of contingent claims, including European basket call options, we compute the bounds of the interval containing the no-arbitrage…
Proper scoring rules are used to assess the out-of-sample accuracy of probabilistic forecasts, with different scoring rules rewarding distinct aspects of forecast performance. Herein, we re-investigate the practice of using proper scoring…
In the quest for market mechanisms that are easy to implement, yet close to optimal, few seem as viable as posted pricing. Despite the growing body of impressive results, the performance of most posted price mechanisms however, rely…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
We point out some major drawbacks in random trading market models and propose a realistic modification which overcomes such drawbacks through `sensible trading'. We apply such trading policy in different situations: a) Agents with zero…
Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…
In mechanism design it is typical to impose incentive compatibility and then derive an optimal mechanism subject to this constraint. By replacing the incentive compatibility requirement with the goal of minimizing expected ex post regret,…
In many professons employees are rewarded according to their relative performance. Corresponding economy can be modeled by taking $N$ independent agents who gain from the market with a rate which depends on their current gain. We argue that…
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…
We explore the possibility of designing matching mechanisms that can accommodate non-standard choice behavior. We pin down the necessary and sufficient conditions on participants' choice behavior for the existence of stable and incentive…
The housing market, also known as one-sided matching market, is a classic exchange economy model where each agent on the demand side initially owns an indivisible good (a house) and has a personal preference over all goods. The goal is to…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer…